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From | Maarten Buis <maartenlbuis@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: bootstrap a test linear hypotheses |
Date | Wed, 5 Jun 2013 09:33:30 +0200 |
On Wed, Jun 5, 2013 at 1:23 AM, Thierry Hounsa wrote: > Hi all.. How to bootstrap a test linear hypothese after the estimation of a Vectorial Autoregressive Model? > Indeed, I perform these commands: > > *** estimate a VAR of 2 lags on the variables Y1 and Y2*** > var Y1 Y2 > *** Perform a test on the coefficients of Y1*** > test ([Y1]: L.Y2 L2.Y2) > *** bootstrap the previous test*** > bootstrap, reps(50) : test ([Y1]: L.Y2 L2.Y2) Nick already pointed out one problem with your idea. I will add to your problems by pointing out another... -bootstrap- is for estimation commands and not for testing. Bootstrap tests exist in the literature, but they are not (directly) implemented via the -bootstrap- command. There is a section in the manual entry of -bootstrap- on how to do bootstrap testing. You can also look at the code of -asl_norm- and -propcnsasl-, which you can download by typing in Stata -ssc install asl_norm- and -ssc install propcnsreg-, for examples of how bootstrap tests can be implemented in Stata. An easy way to look at code is to type in Stata -viewsource propcnsasl.ado- after you have install the -propcnsreg- package. Also see: (Davison & Hinkley 1997, chapter 4) and (Efron and Tibshirani 1993, chapter 16). They are both good introductory teksts on the bootstrap, but it pays to read both of them as they complement one another surprisingly well. Hope this helps, Maarten A.C. Davison & D.V. Hinkley (1997) Bootstrap Methods and their Application. Cambridge: Cambridge University Press. B. Efron & R.J. Tibshirani (1993) An Introduction to the Bootstrap. Boca Raton: Chapman & Hall/CRC. --------------------------------- Maarten L. Buis WZB Reichpietschufer 50 10785 Berlin Germany http://www.maartenbuis.nl --------------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/